Optimizing Omega

S.J. Kane, M. Bartholomew-Biggs, M. Cross, M. Dewar

    Research output: Contribution to journalArticlepeer-review

    21 Citations (Scopus)
    123 Downloads (Pure)


    This paper considers the Omega function, proposed by Cascon, Keating & Shadwick as a performance measure for comparing financial assets. We discuss the use of Omega as a basis for portfolio selection. We show that the problem of choosing portfolio weights in order to maximize Omega typically has many local solutions and we describe some preliminary computational experience of finding the global optimum using a NAG library implementation of the Huyer & Neumaier MCS method.
    Original languageEnglish
    Pages (from-to)153-167
    JournalJournal of Global Optimization
    Issue number1
    Publication statusPublished - 2009


    • portfolio selection
    • Omega function
    • MCS method


    Dive into the research topics of 'Optimizing Omega'. Together they form a unique fingerprint.

    Cite this